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投资组合的优化旨在对资金进行分配组合,得到各项资产的最优分配权重,并在权衡投资收益和风险的基础上使投资达到期望效用最大化。在研究过程中,首先运用Monte Carlo随机模拟方法预测各资产的收益率期望值,计算出收益率标准差和各资产间的相关系数,进而求解资产的组合风险。然后将VaR(Value at Risk)条件引入到模型中,建立以资产组合收益为最大目标,以资产组合的VAR为约束条件的投资组合优化模型,计算出资产分配比重。最后通过实例分析资产价格走势和检验分布假设,验证模型的合理性和可行性,为投资者的决策提供理论和应用依据。
The optimization of a portfolio aims at allocating and allocating funds, obtaining the optimal distribution weight of each asset, and maximizing the expected utility of the investment on the basis of weighing investment returns and risks. In the research process, we first use Monte Carlo stochastic simulation method to predict the expected return of each asset, calculate the standard deviation of return and the correlation coefficient between assets, and then solve the portfolio risk. Then the VaR (Value at Risk) condition is introduced into the model to establish a portfolio optimization model with the portfolio return as the maximum objective and the portfolio VAR as the constraint condition to calculate the asset allocation proportion. Finally, by analyzing the asset price trend and the test distribution hypothesis by examples, the rationality and feasibility of the model are validated to provide theory and application basis for the investors’ decision-making.